Tri-Party Repo Data: October 2017

The Federal Reserve Bank of New York (FRBNY) released the monthly statistics of the U.S. tri-party repo market for October 2017.

Tri-party repo statistics are available on a consolidated basis through the FRBNY’s tri-party repo interactive tool (available here) and master excel data file (current version here and click on Downloads).

As of October 11, 2017, total collateral in the U.S. tri-party repo market decreased by $8.7 billion to $1.87 trillion. As of October 11, 2017, total collateral has remained above the $1.70 trillion level for the last 13 months, since rising to that level in October 2016 for the first time since 2013, and has remained above the $1.80 trillion level for the last six months. As of October 2017, U.S. Treasuries excluding Strips collateral was $923.31 billion, making it the second consecutive month above the $900 billion level. International Securities continued its upward trend to $6.45 billion, the first time over the $6 billion level since January 2014.

Median margin levels largely remained stable. The median margin level increased for Agency Collateralized Mortgage Obligations from 3% to 4%, and decreased for ABS Non-Investment Grade from 15% to 10% and for Municipality Debt, from 5% to 3%.